Lyxor: Macro Hedge Funds Outperformed Following Fed Meeting

Sep 28 2015 | 11:25am ET

The latest weekly briefing from Lyxor Asset Management shows hedge funds remained resilient in the aftermath of the September 17 FOMC meeting.

The Lyxor Hedge Fund Index was down 0.4% in the week through September 22, outperforming the S&P 500’s 1.8% loss and the sharp 4.1% decline in the Eurostoxx 50. Meanwhile, macro and CTA funds were helped by gains in the U.S. dollar, a rally in bonds and a widening of high-yield credit spreads. 

With the exception of CTAs, which were up 1.2% for the period on the strength of the post-Fed meeting bond rally, Lyxor’s substrategies were negative for the week. Event-Driven funds underperformed due to their exposure to risk assets, losing 1.4% last week, and are now down -2.4% for the year to date. Global macro was down -0.2%, Long/short Equity down -0.6%, and Fixed Income Broad -0.5%. 

Lyxor noted that while it is too early to call the end of the credit rally, the firm believes the cash market should remain under pressure from the threat of high issuance, partly related to high M&A. In the L/S Credit side, the firm suggests an underweight stance, in particular on funds with more directionality, and points out that relative value players are likely to be more resilient.

For the year to date, Equity Long/Short strategies are up the most , with a gain of +0.9% through the 22nd. Global Macro is also in the green for the year so far, up a marginal 0.4%.

“The rebound in risk assets that we have been expecting since the recent sell off seems to be taking shape,” commented Lyxor’s Philippe Ferreira. “Janet Yellen’s speech on 24th September reiterated her belief of a strong US economy and its ability to be resilient against any adverse developments in China. The market reacted positively, although it remains to be seen whether the rally in risk assets can be sustained.” 

“We think some catch up in risk assets is due following the recent losses that are disconnected from fundamentals to us,” he added. “Over the midterm however, it is likely that markets will remain volatile.” 

The Lyxor Hedge Fund indices are based on the universe of funds available on the Lyxor Managed Account Platform determined on a monthly basis to be eligible for inclusion. Approximately 66 funds participate on the platform, representing $7 billion of assets under management and replicating $200 billion in AUM.

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